IWM Options History — July 2010

In July 2010, IWM traded between $59.04 and $66.46. ATM implied volatility averaged 31.0%, placing in the 46.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 0.5% (HV 20d: 30.5%). Max pain ranged from $64.00 to $66.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.79.

Notable Days

  • 2010-07-01: Highest Volume — 888,096 contracts
  • 2010-07-06: Largest IV spike — 37.3% change
  • 2010-07-06: Highest IV Rank — 76.2%
  • 2010-07-06: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.93$59.04$66.46$60.68$65.02
Max Pain$64.43$64.00$66.00$66.00$64.00
ATM IV31.0%26.8%40.7%33.1%28.2%
Expected Move9.0%8.0%10.5%10.0%8.0%
HV 20d30.5%25.9%34.9%31.9%31.7%
HV 60d35.6%33.8%37.1%33.8%35.8%
IV Rank46.8%34.1%76.2%53.3%38.5%
IV Percentile78.4%53.2%96.4%88.9%67.9%
Term Structure1.1%0.3%3.0%0.6%2.4%
VWIV33.0%28.3%36.3%35.4%28.3%
Skew 25d8.6%6.2%10.5%7.5%7.0%
Skew 10d17.0%11.8%20.9%13.5%14.7%
Call IV 25d27.6%24.6%32.9%32.9%24.7%
Put IV 25d36.1%31.7%42.1%40.4%31.7%
Bid-Ask Spread %4.222.377.395.323.14
Gamma HHI0.090.060.120.080.07
Net GEX-377.3M-547.2M-232.3M-455.8M-316.5M
Net DEX5.31B952.3M9.99B8.65B2.65B
Net VEX-42.7M-44.6M-39.5M-41.1M-44.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.791.225.283.801.22
Total Volume452,150.143210,675888,096888,096210,675
Total OI5,498,465.2864,832,1646,099,6735,031,6265,607,371

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$60.68$66.0033.1%10.0%31.9%53.3%35.4%7.5%0.6%-455.8M8.65B-41.1M3.805.32185,003703,0931,184,9793,846,647
2010-07-02$59.82$66.0029.6%9.2%27.1%42.7%32.4%6.2%3.0%-476.4M9.50B-40.9M2.275.15164,620373,1821,301,4484,002,423
2010-07-06$59.04$66.0040.7%10.5%25.9%76.2%36.3%10.1%0.6%-471.9M9.99B-39.5M3.514.71138,322485,5701,303,9214,015,165
2010-07-07$61.10$65.0033.2%9.5%29.0%53.6%34.4%10.5%1.8%-475.3M7.65B-42.0M2.987.39131,545391,8451,357,8494,122,514
2010-07-08$61.98$65.0030.9%9.2%29.5%46.5%32.8%9.5%1.0%-469.8M6.98B-43.3M1.375.15135,271184,6591,417,9224,284,489
2010-07-09$62.94$65.0027.0%8.8%27.3%34.8%33.1%9.0%1.1%-254.6M5.74B-42.3M1.874.82125,534234,7621,484,1134,237,631
2010-07-12$62.23$64.0033.8%9.3%27.0%55.4%33.1%10.0%0.3%-467.3M6.43B-42.1M2.085.9494,617196,4131,511,3164,247,468
2010-07-13$64.20$64.0030.2%8.9%29.4%44.6%34.0%9.9%0.5%-393.7M3.85B-41.2M2.426.59169,919411,6481,540,5434,243,956
2010-07-14$63.97$64.0026.8%9.1%27.8%34.1%34.8%10.3%0.4%-419.6M4.47B-44.1M3.173.67102,126323,3831,589,6464,468,839
2010-07-15$63.38$64.0032.6%9.3%27.9%51.7%35.1%9.5%0.4%-476.8M5.57B-43.1M3.134.6577,465242,8041,586,3064,494,831
2010-07-16$61.07$64.0033.6%9.6%30.4%54.6%34.7%9.7%0.8%-547.2M8.79B-42.4M3.153.82161,088508,1301,607,1784,492,495
2010-07-19$61.33$64.0032.8%9.4%30.5%52.3%33.3%8.7%0.6%-348.4M6.09B-42.1M2.053.31118,638243,7421,205,7993,626,365
2010-07-20$62.36$64.0031.3%9.0%31.3%47.7%32.7%8.4%1.0%-340.6M5.08B-43.9M2.452.8898,386241,4201,267,5313,799,742
2010-07-21$61.24$64.0032.2%9.2%31.1%50.6%33.1%8.3%1.0%-358.2M6.18B-43.7M3.002.9168,534205,5121,302,0023,847,045
2010-07-22$63.42$64.0030.9%8.9%33.9%46.7%33.4%8.1%1.4%-303.9M3.86B-43.8M2.584.61126,195325,3891,322,5103,854,473
2010-07-23$64.98$64.0028.2%8.1%34.5%38.4%32.0%8.6%1.5%-265.1M2.30B-44.0M3.252.3792,575301,0991,378,6003,963,589
2010-07-26$66.46$64.0028.6%8.2%34.9%39.6%31.9%7.9%0.8%-232.3M952.3M-42.5M5.283.70127,597673,7901,397,9524,015,189
2010-07-27$66.22$64.0028.3%8.1%34.8%38.7%30.6%7.2%1.4%-238.2M1.20B-43.1M3.803.25101,227384,7121,432,3274,030,159
2010-07-28$65.15$64.0029.3%8.4%32.3%41.6%30.2%7.0%1.4%-304.1M2.68B-44.6M2.002.6579,864159,9501,466,2804,094,579
2010-07-29$64.98$64.0029.1%8.4%31.9%41.2%30.6%7.0%1.6%-306.7M2.79B-43.9M3.192.5694,251300,5981,469,4744,045,105
2010-07-30$65.02$64.0028.2%8.0%31.7%38.5%28.3%7.0%2.4%-316.5M2.65B-44.0M1.223.1495,114115,5611,498,3594,109,012